CONVERGENCE OF THE DRE SOLUTION TO THE ARE STRONG SOLUTION

Authors
PARK PG KAILATH T
Citation
Pg. Park et T. Kailath, CONVERGENCE OF THE DRE SOLUTION TO THE ARE STRONG SOLUTION, IEEE transactions on automatic control, 42(4), 1997, pp. 573-578
Citations number
24
Categorie Soggetti
Controlo Theory & Cybernetics","Robotics & Automatic Control","Engineering, Eletrical & Electronic
Journal title
IEEE transactions on automatic control → ACNP
ISSN journal
00189286
Volume
42
Issue
4
Year of publication
1997
Pages
573 - 578
Database
ISI
SICI code
0018-9286(1997)42:4<573:COTDST>2.0.ZU;2-G
Abstract
In this paper, we use the boundary solutions to a linear matrix inequa lity (LMI) associated with Kalman filtering to investigate the converg ence of the solution of a differential Riccati equation (DRE) to the s o-called strong solution of an algebraic Riccati equation (ARE). We fu rthermore extend our results to Kalman filtering with indefinite input noise covariances.